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20182021
most citedExistence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion

7 citations · 10 across the 4 of their papers we have counts for

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Showing 2020 · q-fin.MFShow all

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q-fin.MF2020

Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework

Kaustav Das, Nicolas Langrené

We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based…